资产收益率的波动对黄金期货风险的影响——基于GARCH模型的研究  

Impact of assets return rate fluctuations on gold futures risk:Based on GARCH model

作　　者：袁芳英[1] 

机构地区：[1]上海立信会计学院金融学院,上海201620

出　　处：《湖南农业大学学报（社会科学版）》2013年第4期65-70,91,共7页Journal of Hunan Agricultural University(Social Sciences)

基　　金：教育部人文社会科学研究项目(12YJC790245);上海高校青年教师培养资助计划项目(SHLX001);教育部特色专业建设资助项目;上海市教委高水平特色发展资助项目(JRXY0903);2013年国(境)外访问学者项目

摘　　要：应用GARCH模型分析2008年1月9日至2013年6月19日期间房价指数、汇率、利率、股价指数和原油期货等资产收益率的波动对黄金期货风险的影响,结果表明:黄金期货当期收益率受利率前期收益率的负向影响,受汇率前期收益率的影响不明显;虽然黄金期货当期收益率未受房价指数、股价指数、汇率与原油期货前期收益率的影响,但是黄金期货当期波动性受自身与股价指数前期波动性的正向影响;黄金期货当期波动性也受房价指数与汇率前期波动性的负向影响;利率与原油期货前期波动性对黄金期货当期波动性则无影响。黄金期货的波动性具有持续性,即有大波动伴随大波动,小波动伴随小波动的波动集聚现象。This paper uses the GARCH model to analyze how the real estate index, exchange rates, interest rates, stock index and crude oil futures return rate fluctuations affect gold futures risk during the period from 2008-01-09 to 2013-06-10. The empirical results indicate that the one-period lagged return of interest rate has negatively and significantly influence on the return of gold futures. In addition, the volatility of gold futures is positively and significantly influenced by the one-period lagged volatility of stock index and itself and negatively and significantly influenced by the one-period lagged volatility of real estate index and exchange rate, nevertheless, the one-period lagged volatility of interest rate and crude oil futures has no significantly influence on the volatility of gold futures. Gold futures volatility is persistent, which means large fluctuations accompany with large fluctuations, small fluctuations accompany by small fluctuations.

关 键 词：黄金期货 风险 资产收益率 GARCH模型 

分 类 号：F832.5[经济管理—金融学]